I wouldn't lie about it. But, I also see a strong sense of control coming from the daughter here. I'm sorry, but my kids don't have a right to control my life beyond the obvious impacts children have on our lives. I would not stop swinging because my kids found out, even if they were upset about it. It's none of their business.
Would I stop because my kids happened to find out? Would I get rid of our sex toys? Would I tell my wife (or she me) to stop making noise when we make love? The answer to all of these is a resounding NO.
I think it's important to convey to the kids that you have a healthy, strong, stable, deeply loving relationship. My wife and I do not hide our affection (appropriately) from our kids. They know full well mommy and daddy are deeply in love. We will always make sure they understand that, even if they found out we swing.
To the therapist, I would say "Our sex lives are none of your business". To our child, we would say "Our sex lives are none of your business. We love you, we love each other, and that will not change. We always have, we always will."
In the future, keep your swinging communications methods, uh, more private I know, hindsight's 20-20 and all.